AGNC Investment Corp. (AGNC) UBS Financial Services Conference (Transcript)

AGNC Investment Corp. (NASDAQ:AGNC) UBS Financial Services Conference February 27, 2024 2:40 PM ET

Company Participants

Peter Federico - President, CEO

Conference Call Participants

Douglas Harter - UBS

Douglas Harter

Thanks, everyone, for joining us. Happy to welcome AGNC back to now the UBS Financial Services Conference. Joined by President and CEO, Peter Federico, on the stage; and Head of Corporate Development, Sean Reid is also joining us as well. Peter, first of all, thanks for joining us.

Peter Federico

Thank you for having us.

Question-and-Answer Session

Q - Douglas Harter

Just as we start, if you could just kind of level set us kind of where we are, where Agency MBS spreads are today, how does that kind of compare to the recent history?

Peter Federico

Sure. Well, first off, just more of a macro perspective. I think as we start 2024, the Agency MBS market is on a decidedly better footing than we have been over the last couple of years. We know that the Fed has engineered one of the most aggressive tightening campaigns we've ever experienced with the federal funds rate going up 525 basis points and the Fed reducing its balance sheet by $1.3 trillion during that time period, mortgage spreads have increased rather dramatically from almost historic types at the culmination of QE3 in the fall of 2021.

Significant spread widening to the point where mortgages hit really all-time wides or close to all-time wides. If you think about current coupon mortgage spreads, the production coupon or the power price mortgage, to a blend of 5- and 10-year treasury rates. That got as tight as maybe 40 or 50 basis points when the Fed was very active. And recently, it's in the neighborhood of around 160 basis points. And at times, it's touched over the last 5 quarters, close to 200 basis points. So we